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arXiv · 2606.18785

Bayesian Anytime Pareto Set Identification for Multi-Objective Multi-Armed Bandits

Lennert Saerens·Bram Silue·Eleni Litsa·Peter Vrancx·Pieter Libin
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Abstract

Identifying Pareto optimal solutions is critical to support multi-objective decision-making. We introduce the first anytime Multi-Objective Multi-Armed Bandit algorithm for the Pareto Set Identification problem, taking a Bayesian approach: Top-Two Pareto Front Thompson Sampling (TTPFTS). We benchmark TTPFTS against state-of-the-art fixed-budget Pareto Set Identification algorithms on synthetic environments. Next, we demonstrate its practical utility in a challenging multi-objective molecular discovery setting by efficiently exploring an ultra-large synthesis-on-demand molecular library. Furthermore, we introduce a novel uncertainty quantification metric that estimates our algorithm's confidence in the predicted Pareto set. We demonstrate that this metric effectively proxies true performance, yielding a robust methodology for monitoring learning progress in complex settings. Finally, we complement these empirical findings with a theoretical proof of the algorithm's asymptotic correctness.

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Lennert Saerens, Bram Silue, Eleni Litsa, Peter Vrancx, Pieter Libin. 2026-06-17. Bayesian Anytime Pareto Set Identification for Multi-Objective Multi-Armed Bandits. https://arxiv.org/abs/2606.18785

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